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Investor attention and market microstructure

Ruan, Xinfeng; Zhang, Jin E. - In: Economics letters 149 (2016), pp. 125-130

Persistent link: https://www.econbiz.de/10011620202

Investor sentiment, variance risk premium and delta-hedged gains

Chen, Yankun; Shu, Jinghong; Zhang, Jin E. - In: Applied economics 48 (2016) 31/33, pp. 2952-2964

Persistent link: https://www.econbiz.de/10011615237

Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums

Ruan, Xinfeng; Zhu, Wenli; Huang, Jiexiang; Zhang, Jin E. - In: Economic modelling 54 (2016), pp. 326-338

Persistent link: https://www.econbiz.de/10011642179

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than...

Persistent link: https://www.econbiz.de/10012174118

The implied volatility smirk in the VXX options market

Gehricke, Sebastian A.; Zhang, Jin E. - In: Applied economics 52 (2020) 8, pp. 769-788

Persistent link: https://www.econbiz.de/10012197465

Exploring asymmetric effects of attribute performance on customer satisfaction in the hotel industry

Bi, Jian-Wu; Liu, Yang; Fan, Zhi-Ping; Zhang, Jin - In: Tourism management : research, policies, practice 77 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012152014

Moment spreads in the energy market

Ruan, Xinfeng; Zhang, Jin E. - In: Energy economics 81 (2019), pp. 598-609

Persistent link: https://www.econbiz.de/10012172876

Equilibrium variance risk premium in a cost-free production economy

Ruan, Xinfeng; Zhang, Jin E. - In: Journal of economic dynamics & control 96 (2018), pp. 42-60

Persistent link: https://www.econbiz.de/10012004952

Expected stock returns and forward variance

Luo, Xingguo; Zhang, Jin E. - In: Journal of financial markets 34 (2017), pp. 95-117

Persistent link: https://www.econbiz.de/10011815206

Wisdom of crowds : conducting importance-performance analysis (IPA) through online reviews

Bi, Jian-Wu; Liu, Yang; Fan, Zhi-Ping; Zhang, Jin - In: Tourism management : research, policies, practice 70 (2019), pp. 460-478

Persistent link: https://www.econbiz.de/10011949918